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Minimaxity of the best invariant estimator of a distribution function under the Kolmogorov-Smirnov loss. (English) Zbl 0786.62016
Summary: For the invariant decision problem of estimating a continuous distribution function with the Kolmogorov-Smirnov loss, it is proved that the best invariant estimator is minimax.

MSC:
62C20 Minimax procedures in statistical decision theory
62C15 Admissibility in statistical decision theory
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